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Effective Statistical Learning Methods for Actuaries I Michel Denuit

Effective Statistical Learning Methods for Actuaries I By Michel Denuit

Effective Statistical Learning Methods for Actuaries I by Michel Denuit

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Summary

This book summarizes the state of the art in generalized linear models (GLMs) and their various extensions: GAMs, mixed models and credibility, and some nonlinear variants (GNMs). Going beyond mean modeling, it considers volatility modeling (double GLMs) and the general modeling of location, scale and shape parameters (GAMLSS).

Effective Statistical Learning Methods for Actuaries I Summary

Effective Statistical Learning Methods for Actuaries I: GLMs and Extensions by Michel Denuit

This book summarizes the state of the art in generalized linear models (GLMs) and their various extensions: GAMs, mixed models and credibility, and some nonlinear variants (GNMs). In order to deal with tail events, analytical tools from Extreme Value Theory are presented. Going beyond mean modeling, it considers volatility modeling (double GLMs) and the general modeling of location, scale and shape parameters (GAMLSS). Actuaries need these advanced analytical tools to turn the massive data sets now at their disposal into opportunities.

The exposition alternates between methodological aspects and case studies, providing numerical illustrations using the R statistical software. The technical prerequisites are kept at a reasonable level in order to reach a broad readership.

This is the first of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurance data analytics with applications to P&C, life and health insurance. Although closely related to the other two volumes, this volume can be read independently.


About Michel Denuit

Michel Denuit holds masters degrees in mathematics and actuarial science as well as a PhD in statistics from ULB (Brussels). Since 1999, he has been professor of actuarial mathematics at UCLouvain (Louvain-la-Neuve, Belgium), where he serves as Director of the masters program in Actuarial Science. He has also held several visiting appointments, including at Lausanne (Switzerland) and Lyon (France). He has published extensively and has conducted many R&D projects with major (re)insurance companies over the past 20 years.


Donatien Hainaut is a civil engineer in applied mathematics and an actuary. He also holds a masters in financial risk management and a PhD in actuarial science from UCLouvain (Louvain-La-Neuve, Belgium). After a few years in the financial industry, he joined Rennes School of Business (France) and was visiting lecturer at ENSAE (Paris, France). Since 2016, he has been professor at UCLouvain, in the Institute of Statistics, Biostatistics and Actuarial Science. He serves as Director of the UCLouvain Masters in Data Science.

Julien Trufin holds masters degrees in physics and actuarial science as well as a PhD in actuarial science from UCLouvain(Louvain-la-Neuve, Belgium). After a few years in the insurance industry, he joined the actuarial school at Laval University(Quebec, Canada). Since 2014, he has been professor in actuarial science at the department of mathematics, ULB(Brussels, Belgium). He also holds visiting appointments in Lausanne (Switzerland) and in Louvain-la-Neuve (Belgium).He is associate editor for the Journals Astin Bulletin and Methodology and Computing in Applied Probability and qualifiedactuary of the Institute of Actuaries in Belgium (IA|BE).



Table of Contents

Preface.- Part I: LOSS MODELS.-1. Insurance Risk Classification.-Exponential Dispersion (ED) Distributions.-3.-Maximum Likelihood Estimation.-Part II LINEAR MODELS.-4. Generalized Linear Models (GLMs).- 5.-Over-dispersion, credibility adjustments, mixed models, andregularization.-Part III ADDITIVE MODELS.- 6 Generalized Additive Models (GAMs).- 7. Beyond Mean Modeling: Double GLMs and GAMs for Location,Scale and Shape (GAMLSS).- Part IV SPECIAL TOPICS.- 8. Some Generalized Non-Linear Models (GNMs).- 9 Extreme Value Models.- References.

Additional information

NPB9783030258191
9783030258191
303025819X
Effective Statistical Learning Methods for Actuaries I: GLMs and Extensions by Michel Denuit
Michel Denuit
Springer Actuarial
New
Paperback
Springer Nature Switzerland AG
2019-09-18
441
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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